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Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps

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Listed:
  • Pingping Jiang

    (Nankai University)

  • Bo Li

    (Nankai University)

  • Yongjin Wang

    (Nankai University)

Abstract

In this paper, we investigate the reflected CIR process with two-sided jumps to capture the jump behavior and its non-negativeness. Applying the method of (complex) contour integrals, the closed-form solution to the joint Laplace transform of the first passage time crossing a lower level and the corresponding undershoot is derived. We further extend our arguments to the exit problem from a finite interval and obtain joint Laplace transforms. Our results are expressed in terms of the real and imaginary parts of complex functions by complex matrix. Numerical results are included.

Suggested Citation

  • Pingping Jiang & Bo Li & Yongjin Wang, 2020. "Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 693-710, June.
    • Handle: RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09730-8
    DOI: 10.1007/s11009-019-09730-8
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    References listed on IDEAS

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